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trimmed down liquidation_price variable and edited comments

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Sam Germain 2022-01-08 02:25:17 -06:00
parent 5796d95a95
commit 42360592ba
1 changed files with 68 additions and 67 deletions
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135
freqtrade/leverage/liquidation_price.py
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@ -6,73 +6,74 @@ from freqtrade.exceptions import OperationalException
def liquidation_price( def liquidation_price(
exchange_name: str, exchange_name: str,
open_rate: float, # (b) Entry price of position open_rate: float, # Entry price of position
is_short: bool, is_short: bool,
leverage: float, leverage: float,
trading_mode: TradingMode, trading_mode: TradingMode,
collateral: Optional[Collateral], mm_ratio: float,
collateral: Optional[Collateral] = Collateral.ISOLATED,
# Binance # Binance
collateral_amount: Optional[float] = None, # (bg) maintenance_amt: Optional[float] = None,
mm_ex_1: Optional[float] = None, # (b)
upnl_ex_1: Optional[float] = None, # (b) # Binance and Gateio
maintenance_amt: Optional[float] = None, # (b) (cum_b) wallet_balance: Optional[float] = None,
position: Optional[float] = None, # (b) Absolute value of position size position: Optional[float] = None, # Absolute value of position size
mm_rate: Optional[float] = None, # (b)
# Gateio & Okex # Gateio & Okex
mm_ratio: Optional[float] = None, # (go) taker_fee_rate: Optional[float] = None,
taker_fee_rate: Optional[float] = None, # (go)
# Gateio
base_size: Optional[float] = None, # (g)
# Okex # Okex
liability: Optional[float] = None, # (o) liability: Optional[float] = None,
interest: Optional[float] = None, # (o) interest: Optional[float] = None,
position_assets: Optional[float] = None, # (o) position_assets: Optional[float] = None, # * Might be same as position
# * Cross only
mm_ex_1: Optional[float] = 0.0, # Cross only
upnl_ex_1: Optional[float] = 0.0, # Cross only
) -> Optional[float]: ) -> Optional[float]:
''' '''
exchange_name wallet_balance
is_short
leverage
trading_mode
collateral
#
open_rate - b
collateral_amount - bg
In Cross margin mode, WB is crossWalletBalance In Cross margin mode, WB is crossWalletBalance
In Isolated margin mode, WB is isolatedWalletBalance of the isolated position, In Isolated margin mode, WB is isolatedWalletBalance of the isolated position,
TMM=0, UPNL=0, substitute the position quantity, MMR, cum into the formula to calculate. TMM=0, UPNL=0, substitute the position quantity, MMR, cum into the formula to calculate.
Under the cross margin mode, the same ticker/symbol, Under the cross margin mode, the same ticker/symbol,
both long and short position share the same liquidation price except in the isolated mode. both long and short position share the same liquidation price except in the isolated mode.
Under the isolated mode, each isolated position will have different liquidation prices depending Under the isolated mode, each isolated position will have different liquidation prices depending
on the margin allocated to the positions. on the margin allocated to the positions.
mm_ex_1 - b position
Maintenance Margin of all other contracts, excluding Contract 1 Absolute value of position size (in base currency)
If it is an isolated margin mode, then TMM=0，UPNL=0
upnl_ex_1 - b # Binance
Unrealized PNL of all other contracts, excluding Contract 1 maintenance_amt (cumb)
If it is an isolated margin mode, then UPNL=0
maintenance_amt (cumb) - b
Maintenance Amount of position Maintenance Amount of position
position - b
Absolute value of position size # Gateio & okex & binance
mm_rate - b mm_ratio
Maintenance margin rate of position [assets in the position - (liability +interest) * mark price] /
(maintenance margin + liquidation fee) (okex)
# * Note: Binance's formula specifies maintenance margin rate which is mm_ratio * 100%
# Gateio & okex # Gateio & okex
mm_ratio - go taker_fee_rate
- [assets in the position - (liability +interest) * mark price] / (maintenance margin + liquidation fee) (okex)
taker_fee_rate - go
# Gateio
base_size - g
The size of the position in base currency
# Okex # Okex
liability - o liability
Initial liabilities + deducted interest Initial liabilities + deducted interest
• Long positions: Liability is calculated in quote currency. • Long positions: Liability is calculated in quote currency.
• Short positions: Liability is calculated in trading currency. • Short positions: Liability is calculated in trading currency.
interest - o interest
Interest that has not been deducted yet. Interest that has not been deducted yet.
position_assets - o position_assets
# * I think this is the same as collateral_amount
Total position assets – on-hold by pending order Total position assets – on-hold by pending order
# * Cross only
mm_ex_1
Maintenance Margin of all other contracts, excluding Contract 1
If it is an isolated margin mode, then TMM=0，UPNL=0
upnl_ex_1
Unrealized PNL of all other contracts, excluding Contract 1
If it is an isolated margin mode, then UPNL=0
''' '''
if trading_mode == TradingMode.SPOT: if trading_mode == TradingMode.SPOT:
return None return None
@ -85,16 +86,16 @@ def liquidation_price(
if exchange_name.lower() == "binance": if exchange_name.lower() == "binance":
if ( if (
collateral_amount is None or wallet_balance is None or
mm_ex_1 is None or # mm_ex_1 is None or # * Cross only
upnl_ex_1 is None or # upnl_ex_1 is None or # * Cross only
maintenance_amt is None or maintenance_amt is None or
position is None or position is None or
mm_rate is None mm_ratio is None
): ):
raise OperationalException( raise OperationalException(
f"Parameters wallet_balance, mm_ex_1, upnl_ex_1, " f"Parameters wallet_balance, mm_ex_1, upnl_ex_1, "
f"maintenance_amt, position, mm_rate " f"maintenance_amt, position, mm_ratio "
f"is required by liquidation_price when exchange is {exchange_name.lower()}") f"is required by liquidation_price when exchange is {exchange_name.lower()}")
# Suppress incompatible type "Optional[float]"; expected "float" as the check exists above. # Suppress incompatible type "Optional[float]"; expected "float" as the check exists above.
@ -104,12 +105,12 @@ def liquidation_price(
leverage=leverage, leverage=leverage,
trading_mode=trading_mode, trading_mode=trading_mode,
collateral=collateral, # type: ignore collateral=collateral, # type: ignore
wallet_balance=collateral_amount, wallet_balance=wallet_balance,
mm_ex_1=mm_ex_1, # mm_ex_1=mm_ex_1,
upnl_ex_1=upnl_ex_1, # upnl_ex_1=upnl_ex_1,
maintenance_amt=maintenance_amt, # type: ignore maintenance_amt=maintenance_amt, # type: ignore
position=position, position=position,
mm_rate=mm_rate, mm_ratio=mm_ratio,
) # type: ignore ) # type: ignore
elif exchange_name.lower() == "kraken": elif exchange_name.lower() == "kraken":
return kraken(open_rate, is_short, leverage, trading_mode, collateral) return kraken(open_rate, is_short, leverage, trading_mode, collateral)
@ -117,14 +118,14 @@ def liquidation_price(
return ftx(open_rate, is_short, leverage, trading_mode, collateral) return ftx(open_rate, is_short, leverage, trading_mode, collateral)
elif exchange_name.lower() == "gateio": elif exchange_name.lower() == "gateio":
if ( if (
not collateral_amount or not wallet_balance or
not base_size or not position or
not mm_ratio or not mm_ratio or
not taker_fee_rate not taker_fee_rate
): ):
raise OperationalException( raise OperationalException(
f"{exchange_name} {collateral} {trading_mode} requires parameters " f"{exchange_name} {collateral} {trading_mode} requires parameters "
f"collateral_amount, contract_size, num_contracts, mm_ratio and taker_fee" f"wallet_balance, contract_size, num_contracts, mm_ratio and taker_fee"
) )
else: else:
return gateio( return gateio(
@ -132,8 +133,8 @@ def liquidation_price(
is_short=is_short, is_short=is_short,
trading_mode=trading_mode, trading_mode=trading_mode,
collateral=collateral, collateral=collateral,
collateral_amount=collateral_amount, wallet_balance=wallet_balance,
base_size=base_size, position=position,
mm_ratio=mm_ratio, mm_ratio=mm_ratio,
taker_fee_rate=taker_fee_rate taker_fee_rate=taker_fee_rate
) )
@ -192,7 +193,7 @@ def binance(
upnl_ex_1: float, upnl_ex_1: float,
maintenance_amt: float, maintenance_amt: float,
position: float, position: float,
mm_rate: float, mm_ratio: float,
): ):
""" """
Calculates the liquidation price on Binance Calculates the liquidation price on Binance
@ -209,7 +210,7 @@ def binance(
:param maintenance_amt: Maintenance Amount of position (one-way mode) :param maintenance_amt: Maintenance Amount of position (one-way mode)
:param position: Absolute value of position size (one-way mode) :param position: Absolute value of position size (one-way mode)
:param open_rate: Entry Price of position (one-way mode) :param open_rate: Entry Price of position (one-way mode)
:param mm_rate: Maintenance margin rate of position (one-way mode) :param mm_ratio: Maintenance margin rate of position (one-way mode)
""" """
# TODO-lev: Additional arguments, fill in formulas # TODO-lev: Additional arguments, fill in formulas
wb = wallet_balance wb = wallet_balance
@ -219,7 +220,7 @@ def binance(
side_1 = -1 if is_short else 1 side_1 = -1 if is_short else 1
position = abs(position) position = abs(position)
ep1 = open_rate ep1 = open_rate
mmr_b = mm_rate mmr_b = mm_ratio
if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS: if trading_mode == TradingMode.MARGIN and collateral == Collateral.CROSS:
# TODO-lev: perform a calculation based on this formula # TODO-lev: perform a calculation based on this formula
@ -297,8 +298,8 @@ def gateio(
is_short: bool, is_short: bool,
trading_mode: TradingMode, trading_mode: TradingMode,
collateral: Collateral, collateral: Collateral,
collateral_amount: float, wallet_balance: float,
base_size: float, position: float,
mm_ratio: float, mm_ratio: float,
taker_fee_rate: float, taker_fee_rate: float,
is_inverse: bool = False is_inverse: bool = False
@ -309,8 +310,8 @@ def gateio(
:param is_short: True for short trades :param is_short: True for short trades
:param trading_mode: spot, margin, futures :param trading_mode: spot, margin, futures
:param collateral: cross, isolated :param collateral: cross, isolated
:param collateral_amount: Also called margin :param wallet_balance: Also called margin
:param base_size: size of position in base currency :param position: size of position in base currency
contract_size / num_contracts contract_size / num_contracts
contract_size: How much one contract is worth contract_size: How much one contract is worth
num_contracts: Also called position num_contracts: Also called position
@ -332,7 +333,7 @@ def gateio(
if is_inverse: if is_inverse:
raise OperationalException( raise OperationalException(
"Freqtrade does not support inverse contracts at the moment") "Freqtrade does not support inverse contracts at the moment")
value = collateral_amount / base_size value = wallet_balance / position
mm_ratio_taker = (mm_ratio + taker_fee_rate) mm_ratio_taker = (mm_ratio + taker_fee_rate)
if is_short: if is_short: